Charts as signals in Markov switching world

Hans Dewachter

Applied Economics Letters, 1996, vol. 3, issue 6, 405-407

Abstract: This note evaluates the signal performance of charts under the maintained assumption that the DGP is a standard Markov switching model. It is found that, within this framework, charts contain valuable information with respect to the current state of the latent process. Hence, this note provides a (statistical) rationale for the reported profitability of chartists rules in terms of an underlying Markov switching model as the DGP.

Date: 1996
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DOI: 10.1080/135048596356320

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